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Preheat oven to 400*F.
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Cream together the sugar and butter until light and fluffy using an electric mixer on medium speed for 1-2 minutes.
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Add the egg and vanilla; blend 1-2 minutes more.
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Reduce mixer speed to low; add the flour, cocoa powder, baking soda, and baking powder alternately with the milk, blending well after each addition (1-2 minutes).
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Drop dough by slightly rounded teaspoons 2" apart onto lightly greased (or parchment paper lined) cookie sheets.
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Bake for 6-8 minutes, or until tops of cookies spring back when lightly touched. Cool completely on wire racks.
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Combine all the filling ingredients in a small bowl; blend with an electric mixer on low speed until creamy, 1-2 minutes.
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Spread 1 level teaspoons filling on the flat side of half the cookies; sandwich with remaining cookies, flat side down.
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Dust with powdered sugar, if desired.